Va. Gov. Terry McAuliffe talks to FOX 5 about the federal investigation into campaign contributions

A day after news broke that the FBI and the Justice Department are investigating donations to Virginia Gov. Terry McAuliffe's 2013 campaign, the Democratic governor sat down with FOX 5's Ronica Cleary.

One of the donations that drew the interest of investigators was $120,000 from a Chinese businessman. In the one-on-one interview, McAuliffe answered questions and commented on the recent accusations against him.

"Listen, I'm carrying on my schedule as Governor. No one's alleged I've done anything wrong. And you just got to continue to do. I'm governor, I'm out doing what I need to do to help the people of the Commonwealth of Virginia. I would never cancel," McAuliffe said after learning that many people thought he would cancel his interview with FOX 5 due to the recent accusations.

Does he understand why some people might say that the $120,000 donation might be one that he shouldn't of accepted, because of his former status as a delegate to China's National People's Congress?

"Well, as I say, he's a major contributor to Harvard," said McAuliffe. "He sits on the board of New York University. Two of our most prestigious universities. He's very active. Everybody takes his money."

"I'm really baffled by the whole story in the first place," he added.

McAuliffe does believe he is somewhat being targeted.

"Well, I'll be honest with you, if I was sitting in the private sector and I was governor, I don't think someone this would have risen to the level, but we'll see," he said. "It's okay. You get in this business. You open yourself up and I'm fine doing that. When you're confident you haven't done anything wrong."

Gov. McAuliffe continued to say that he is not sure he has even met the man who made the donations. He also called the investigation the "price of being in politics today."

When FOX 5 asked him if he thinks Bernie Sanders should stay in the presidential race, he answered saying he believes that Sanders is entitled to go right to the end, just as he did when he was on Hillary Clinton's campaign in 2008.

The governor explained that he would consider working in the cabinet if Clinton became president, but isn't sure the work fits his personality. He also said, "I can unequivocally tell you I will never be a United States senator."